Sarp_Gokdag

Applied ROC Strategy on Turkish Defense Company : Aselsan

BIST:ASELS   ASELSAN
About ROC Strategy :
  • Go Long when the ROC crosses above the Value of '0'
  • Short when the ROC crosses below the Value of '0'.
The strategy is a reversal strategy through the use of the 'Cover and go Long' and 'Close and go Short' Actions. The ROC property of 'Period' can be changed for testing purposes using the available ROC 'Factor'

Important Notice :
Although I publish this article in 30 mins period, the strategy works best with the intraday trading(1 min). If you decide to adapt this strategy to your Algo Trader, remind urselfs that %P&L for intraday is around ~8%. Also bear in mind the Turkish Stock Market Volatility plus any political related decisions on defense companies inside and outside the coutnry. The %P&L ratios has been calculated throug BackTesting&Optimizing on Bloomberg Terminal for July 2020.


The above references an opinion and is for information purposes only. It is not intended to be investment advice. Seek a duly licensed professional for investment advice.

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